Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0045
Annualized Std Dev 0.3333
Annualized Sharpe (Rf=0%) 0.0135

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2566
Quartile 1 -0.0056
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0064
Maximum 0.7447
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0004
Stdev 0.0210
Skewness 8.7802
Kurtosis 321.8835

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0211
Loss Deviation 0.0159
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0130
Downside Deviation (0%) 0.0130
Maximum Drawdown 0.8575
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0426
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2004-03-26 2008-10-10 2020-12-14 -0.8575 4210 1145 3065
1999-01-08 2000-11-22 2002-02-20 -0.2669 782 475 307
2020-12-24 2021-02-25 NA -0.1720 59 42 NA
2002-09-05 2002-10-22 2003-01-13 -0.1491 90 34 56
2002-02-26 2002-03-12 2002-07-19 -0.1147 101 11 90

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 0 0 1.8 -1.8 1.8 0.9 -1.8 0.9 1.5 0 3.2 7
2000 -0.5 1 0.5 0.5 1.6 -0.5 -0.5 1.5 -0.5 0 0.5 -1 2.5
2001 0.8 0.7 1.9 0.4 1.9 0.8 -1.6 -1.8 0 0.5 -0.1 -0.5 3
2002 2.3 2.3 -0.3 1.4 0.1 0.6 -3.1 0.9 1.1 0.4 0 -0.3 5.4
2003 0.1 -0.7 1.4 -2.8 -0.5 -0.3 -1 0.1 -1 1 0.8 0.5 -2.3
2004 -0.2 -0.3 0.4 0.4 -0.3 0.7 0.2 0.1 -0.6 -0.3 -0.3 0.1 -0.2
2005 -0.1 -0.1 1.8 0.3 -0.5 0.9 0.6 -0.6 -0.5 1.5 -0.7 0.4 3.1
2006 -0.1 0.8 0.3 0 0.8 -0.6 0.5 0.8 0.1 0.3 -1.3 -0.5 1.2
2007 0.6 -0.4 -0.5 -0.5 1.6 -0.9 -1.9 -0.9 0.4 -1.2 2.5 -1.3 -2.7
2008 0.4 0.2 1.8 2.1 -0.3 -1.7 -1.6 2.4 -8.2 -5.3 -5.8 0.3 -15.2
2009 -0.7 -3 1.3 3 4.1 0.6 -1 0.3 1.2 -2.5 3.3 -0.2 6.2
2010 1.5 2.3 2.2 0.3 0.7 -1.8 1.9 0.6 -0.5 1.4 -0.2 0.9 9.7
2011 1 0.2 1.1 0.2 0.4 0.7 1.7 0 0.4 -1.3 0.4 1.8 6.7
2012 0.1 -0.6 1.7 -0.9 -1.1 -1.9 0.8 0.7 -0.8 0.2 -0.3 1.8 -0.5
2013 0 0.1 0.5 0.3 -3.5 -0.2 -0.4 0 1.4 0.9 0 -0.2 -1.2
2014 0.9 -0.2 0.1 -0.4 -0.3 0.6 -1.6 0.1 0.6 1.1 -0.7 -3.3 -3.2
2015 0.3 0.3 0.9 0.5 -0.1 0.3 -0.4 0.9 0.2 0.3 0.4 -0.2 3.4
2016 1.1 1 0.8 -0.5 0 -0.2 0.3 0.4 0.1 -3 -0.3 1 0.6
2017 0 -0.3 0.8 1 0.3 0.4 1.1 0.4 0.7 0.5 -0.4 -0.3 4.2
2018 1.2 -0.3 0.5 1.1 0 1 0.1 0.2 0.4 0.9 0.6 0.7 6.6
2019 -0.8 0.8 -0.6 0.4 -0.3 0.4 -0.3 0.3 1 -0.9 0.6 1.3 2
2020 -2.7 -3.4 -6 -1.3 3.3 -1.5 1.9 1.1 -2.5 -0.3 -1 1.1 -11.1
2021 0.2 2.2 -0.5 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.7 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.5 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.4 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15   SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart